We are accepting applications in all positions, and our applicant pool is highly competitive. If you are confident to answer or code some or all of the following questions, feel free to send us your CV with your answers, or propose your own problems / brainteasers with answers, as it is usually more important to propose the right question before pushing through an investigation. Original only please, or there is no fun!
Most of these questions cannot be found anywhere else. Some are difficult and only a top hedge fund can answer. We will start reviewing applications once we commence the recruiting process. Rest assured we have more interesting questions for a quant interview:) Python is preferred if you submit code samples.
We offer a recommended book list in the end for your amusement.
- Assume you are omnipotent. Can you build a rock too heavy to lift for yourself? What are the implications?
- How quick do your genes disseminate along generations? How many generations does it take to cover the entire species, if at all possible? Estimate the probability. Hint: it may help to estimate first how many ancestors of yours walked the earth 1,000 years ago?
- When do you think the AI singularity happens? Can we design and keep a strong AI under control? How?
- What do we all live for and go after? Categorize all goals. Hint: there are not so many. What do scholars, businessmen, doctors, politicians, priests do? What are common hobbies or addictions? What do players go after in any virtual, electronic games? Is there any pattern? Do they share anything in common?
- What do you want to do after your mind, including consciousness, knowledge, memory, personality and all is uploaded to the internet? Imagine the social formation if everybody is free to do that. Follow up: what if this process is permanent and irreversible?
- What happens if a deadly virus is to wipe out all population over 10 years old? What are the utmost skills / knowledge to teach our kids if adults have 1 month left? 3 months? A year?
- We lose the sunlight tomorrow and onward. Can humanity survive? How? If not, how long can we hold on? For simplicity, let's assume the sun darkens permanently with no other changes whatsoever. Follow up: what if the sun suddenly disappears instead?
- Imagine the social formation assuming every human achieves eternal life, i.e. no disease or any problems concerning survival, but we are still subject to deadly events like a plane crash, car accident, murder, meteor collision, etc. Hint: what happens if we are to sustain the status quo on earth? Do we still evolve and reproduce? What does longevity bring civilization? What happens to marriage, family, wealth accumulation, taxing, politics, war and religion? Does it make a difference at which point it happens, such as 1 million years ago, 5,000 years ago, today or 5,000 years later? Why?
- The sun is dying and we must move the entire planet to Alpha Centauri 4.2 lightyears away. You are the chief scientist. What’s your plan? Follow up: how do we survive the journey, if at all possible?
- A hostile alien armada is marching toward us from deep space! Their flagship is as gigantic as the earth. It’s their mastermind and likely a weak spot. You are the supreme military commander with all resources from humanity. We have a few years to prepare from today. How would you propose to defend or strike back?
- How would you explain the Fermi paradox - the astounding age of the universe and vast space with numerous celestial bodies imply that extraterrestrial civilizations should have existed everywhere, unless the earth is an outstanding exception. Where is everybody? Why didn't we see any spaceships, space probes or electromagnetic signals from them?
- How would you explain Needham's Grand Question - why had China and India been overtaken by the West in science and technology, despite their earlier successes?
- Is it possible that our universe is simulated in a super computer? Why or why not? Hint: if you have such a computer and want to simulate life and civilization genesis and evolution, what are the first few questions to address and rules to enforce from the first principle? Does it make a difference whether your computing power is limited or not? How?
- We know an alien civilization exists in certain coordinates. That’s all we know, and they don’t know about us, yet. What’s the best move? What if they are hundreds of lightyears away? What if we know of many alien civilizations yet they don’t know about us?
- Imagine the social formations assuming every individual has the ability to read on-going minds. What happens to wars? Politics? Corruptions? Families? Economy? Bitcoin? Ethereum? Follow-up: does it differ if mind reading covers not only the thoughts on-going, but also the full memory? How?
- A train will run over 5 people if it keeps going. If you redirect it to another track, only one. You are the coordinator. What would you do? Why? Hint: is it moral? Legal? Efficient? What if it's either to trigger a nuclear warhead, or one single life at the expense? You must make a choice and there is no third option.
- A highly advanced alien civilization (Type II in Kardashev Scale) promises to offer one technology way beyond our reach at the expense of every and any human sent to their ship for experiment of sorts. You are the chief chancellor of the earth senate. What would you propose? Assume aliens are neutral (not hostile), honorable and always keep their words, but all humans sent over lose their lives. Be warned: your decision will have profound impact on many years to come.
- Alfred Nobel invented the dynamite, because he thought if a powerful weapon of massive destruction wipes out both armies instantaneously, there would be no more wars. Do you agree? Hint: think about the nuclear weapons and the cold war. Is the equilibrium stable? Any hidden perils as the humanity advances in technology? What’s your solution?
- You, the Great One, have defeated all opponents and ascended the throne of the vast Roman Empire (finally!). You are now the emperor and supreme commander of a formidable army. However, you borrowed wisdom mostly from your knowledge about the future, as you obtained two PhDs in history and computer engineering from the modern world (2018 AC) and somehow traveled back with all you know. Now it's time to show the world what else you are capable of. To start with, you are eager to build the world's first computer prototype as soon as possible. But how? Hint: a modern computer is but an assembly of at least millions of logic gates. Each logic gate conducts one of the logic operations: AND, OR and NOT (or combinations of sorts, but let's focus on these 3 for simplicity). Follow up: what if you don't remember much about material science unfortunately?
- What is the nature of an alpha in your opinion? Does it exist by your definition? What type(s) of alphas do you prefer or do you think would persist?
- How would you design a crypto option? What are the chanllenges? Do the same option strategies from equities apply? Do you anticipate better or worse returns? Why?
- How would you handle and optimize portfolio risks?
- Some brokers do not charge you any variable or fixed fees on your trade volume in your cash account (no margin borrowing). Can they still profit? How?
- If you have a working strategy before transaction cost but not after, can you still profit? How?
- What’s the most common mistake a strategy publication make? Why?
- You find a tradable strategy on top 20 cap cryptos. How would you improve it?
- You find 1000 crypto strategies in-sample with good performances. How do you know you are doing things right? What if you can’t rely on any out-of-sample data?
- Is the movement of financial instruments a Martigale? Why do most markets go up in the long run? What’s the nature of their most fundamental exposure?
- What do you do if your strategy stops working for a while? How do you address a regime change?
- Rumor has it that a global hot war is coming. What would you do to preserve your assets? What happens to the financial markets (stock, commodity, crypto and their futures)?
- Rumor has it that a powerful quantum computer will be deployed for commercial use soon. What are the social, economical and financial consequences?
- What are the first few questions to ask if someone claims he has a million alphas? Do you really need that many alphas, why or why not? Are there so many of them at all? If no out-of-sample requirements, can you produce this many alphas with in-sample data? How, and how long do you need? What do you think is their success rate out-of-sample?
- Assume you are offered a million alphas, some of which look quite suspicious but some might actually work. How would you pick and combine them? Hint: what metrics do you need for an appropriate combination? Does in-sample and out-of-sample make a difference? How do you avoid the common myths? How do you know if you are picking right?
- All bubbled market participants are fanatic about the hunt for the next hundredfold underlyings, crypto markets in particular. What are the potential myths in those predictions? What if one attempts to predict tens of cryptos separately over the course of weeks? Assuming faithful without further modification, are those historical snapshots or analysis on single-name predictions trustworthy? What is it to gain if one keeps doing so?
- If you make predictions often, and many readers referenced your suggestions to trade (not necessarily a strict copy), what happens? Will they believe you if you are an ordinary predictor? And can you come up with predictive methods with almost 100% success rate under certain circumstances? No cheating of course. Hint: what if you offer an entry point without an exit point in a highly volatile (even better, growing) market like the cryptos?
- Why is auditable or verifiable track record so important? Why do professional hedge funds always emphasize 'past performance is not indicative of future results'? Why do they accept capital from accredited investors only?
- Does it help if a fund issues decentralized tokens for transfer and store of value? Any pros and cons? What use cases can you imagine? How would you price the tokens? Would it be higher than the redemption price the fund offers (if applicable)? Why? Should a crypto fund raise fiat or crypto currencies? What currency standard(s) should they be based upon in P&L reports and settlements? Does it differ between a mutual fund and a hedge fund?
- How would you pick a competent fund manager to invest with? In other words, if you are the CEO, how would you pick adequate and qualified portfolio managers and quants to work for you?
Coding / modeling:
- Calculate historical max drawdown of Bitcoin and give the dates for peak and trough. Collect drawdown statistics including frequency and magnitude on simple (additive) and compound P&Ls.
- Calculate the beta matrix between a fixed basket of cryptos and Bitcoin using all data available until each day. Hint: there is a series of betas every day from the underlyings. Assume all data needed are properly defined, how many lines do you need for this computation alone? Can you make it more efficient?
Construct a top 20 cap crypto universe point-in-time. Data can be downloaded from CoinMarketCap for free. Why is point-in-time important?
Calculate the P&L of an equal weighted portfolio on top 1000 cap cryptos for the last year.
- Reproduce some or all strategies in our crypto factor overview. Can you improve them? How?
- Combine top 20 cap cryptos or the factor portfolios the best way you can.
- Predict the Bitcoin price next month. Next week? Next day? Is it getting easier or harder? Why, and can you quantify by how much?
- What are common corporate actions? What aspects about the company are subject to change in typical corporate actions? Do they break down to certain categories in handling? How would you code to handle them? Follow up: how does it differ if the underlying is a crypto? Is there always a counterpart? Give a few examples.
- There are n operations (O1, O2, ..., On) we'd like to execute on a matrix of dimension 100n by m, i.e. we apply a different operation every 100 rows. What's your approach? Can you improve and make it more efficient? Propose a few contexts when this is needed in alpha research.
Design a class for data loading. Hint: do you need a class for this at all, why? What functions stay in the base class and should be inherited? Do you need storage functionality, why or why not, and if so, how? What if the data to load is big and exceeds memory limit?
Design an alpha or smart beta class. Hint: why do we need a class for this? What performance metrics and functions are needed? Do you need a set of configurations? Are they constant or dynamic? What are typical parameters to place in the configuration set? Can you categorize them? Do performance numbers belong to the configs, why or why not?
Implement cost analysis in an alpha class. Hint: where does it sit? What are the cost categories? How do you model them? Is your implementation scalable? What if there is a large number of underlyings?
Design a portfolio class for alpha combination. Hint: what can you inherit from the alpha class? Anything missing? What operations are needed or commonly applied to combine or post process alphas or portfolios?
- Design a system to check alpha healthiness and validity. Hint: read the common mistakes in quant research to start with. What tests would you recommend? How would you conduct them? Does it differ in-sample and out-of-sample, why and how? Can you automate the whole process, if possible at all? Follow up: can you scale up the system to accommodate millions of alphas? How?
- Assume you have a million trading models to maintain and update on a daily basis. Design a scalable and robust system to achieve it. Hint: what programming language and data structures are preferred? Would you multi-process the jobs, and how? How would you design the alpha class and make it compatible?
- Rishi K. Narang, Inside the Black Box: A Simple Guide to Quantitative and High Frequency Trading
- Richard C. Grinold, Ronald N. Kahn, Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk
- Xinfeng Zhou, Active Equity Management
- Ramazan Gençay and Michel Dacorogna, An Introduction to High-Frequency Finance
- Barry Johnson, Algorithmic Trading and DMA: An introduction to direct access trading strategies
- Ganapathy Vidyamurthy, Pairs Trading: Quantitative Methods and Analysis
- John C. Hull, Options, Futures and Other Derivatives
- Riccardo Rebonato, Volatility and Correlation: The Perfect Hedger and the Fox
- Jim Gatheral and Nassim Nicholas Taleb, The Volatility Surface: A Practitioner's Guide
- Dennis Wackerly, William Mendenhall, Richard L. Scheaffer, Mathematical Statistics with Applications
- Steven Shreve, Stochastic Calculus for Finance, I and II
Brainteaser and general interview:
- Xinfeng Zhou, A practical Guide to quantitative finance interviews
- Mark Joshi, Quant Job Interview Questions And Answers
- Timothy Falcon Crack, Heard on the Street: Quantitative Questions from Wall Street Job Interviews
- Wes McKinney, Python for Data Analysis
- Stanley B. Lippman, Josée Lajoie, Barbara E. Moo, C++ Primer
- Scott Meyers, effective C++: 55 Specific Ways to Improve Your Programs and Designs
- Scott Meyers, More Effective C++: 35 New Ways to Improve Your Programs and Designs
- Bjarne Stroustrup's C++ Style and Technique FAQ, http://www.stroustrup.com/bs_faq2.html
- C++ tutorial, http://www.cplusplus.com/doc/tutorial/
- Gayle Laakmann McDowell, Cracking the Coding Interview
- Adnan Aziz, Tsung-Hsien Lee, Amit Prakash, Elements of Programming Interviews: The Insiders' Guide
- John Mongan and Giguè, Programming Interviews Exposed
- William Poundstone, How Would You Move Mount Fuji